Ownership Submission
FORM 5
Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).
Form 3 Holdings Reported
Form 4 Transactions Reported
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

ANNUAL STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP OF SECURITIES

Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934, Section 17(a) of the Public Utility Holding Company Act of 1935 or Section 30(h) of the Investment Company Act of 1940
OMB APPROVAL
OMB Number: 3235-0362
Expires: January 31, 2005
Estimated average burden hours per response... 1.0

1. Name and Address of Reporting Person *
Diamond Jeremy
 2. Issuer Name and Ticker or Trading Symbol
ANNALY CAPITAL MANAGEMENT INC [NLY] 		5. Relationship of Reporting Person(s) to Issuer
(Check all applicable)
_____ Director _____ 10% Owner
__X__ Officer (give title below) _____ Other (specify below)
MANAGING DIRECTOR
(Last)
(First)
(Middle)

C/O ANNALY CAPITAL MANAGEMENT, INC., 1211 AVENUE OF THE AMERICAS, SUITE 2902		 3. Statement for Issuer's Fiscal Year Ended (Month/Day/Year)
12/31/2010
(Street)


NEW YORK, NY 10036		 4. If Amendment, Date Original Filed(Month/Day/Year)
 6. Individual or Joint/Group Reporting
(check applicable line)

_X_ Form Filed by One Reporting Person
___ Form Filed by More than One Reporting Person
(City)
(State)
(Zip)
Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned
1.Title of Security
(Instr. 3)		 2. Transaction Date (Month/Day/Year) 2A. Deemed Execution Date, if any (Month/Day/Year) 3. Transaction Code
(Instr. 8)		 4. Securities Acquired (A) or Disposed of (D)
(Instr. 3, 4 and 5)		 5. Amount of Securities Beneficially Owned at end of Issuer's Fiscal Year
(Instr. 3 and 4)		 6. Ownership Form: Direct (D) or Indirect (I)
(Instr. 4)		 7. Nature of Indirect Beneficial Ownership
(Instr. 4)
Amount (A) or (D) Price
Common Stock             63,750 D  
Common Stock             241 I By Wife
Common Stock             65 I Jeremy Diamond C/F Eleanor L. Diamond
Common Stock             458 I Jeremy Diamond C/F Benjamin L. Diamond

Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly. Persons who respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB control number. SEC 2270 (9-02)

Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned
(e.g., puts, calls, warrants, options, convertible securities)
1. Title of Derivative Security
(Instr. 3)		 2. Conversion or Exercise Price of Derivative Security 3. Transaction Date (Month/Day/Year) 3A. Deemed Execution Date, if any (Month/Day/Year) 4. Transaction Code
(Instr. 8)		 5. Number of Derivative Securities Acquired (A) or Disposed of (D)
(Instr. 3, 4, and 5)		 6. Date Exercisable and Expiration Date
(Month/Day/Year)		 7. Title and Amount of Underlying Securities
(Instr. 3 and 4)		 8. Price of Derivative Security
(Instr. 5)		 9. Number of Derivative Securities Beneficially Owned at End of Issuer's Fiscal Year
(Instr. 4)		 10. Ownership Form of Derivative Security: Direct (D) or Indirect (I)
(Instr. 4)		 11. Nature of Indirect Beneficial Ownership
(Instr. 4)
(A) (D) Date Exercisable Expiration Date Title Amount or Number of Shares
Option to purchase Common Stock (1) $ 17.97           08/04/2004 08/04/2013 Common Stock
20,000
  20,000
D
 
Option to purchase Common Stock (1) $ 17.39           04/19/2005 04/19/2014 Common Stock
20,000
  20,000
D
 
Option to purchase Common Stock (1) $ 17.07           07/07/2006 07/07/2015 Common Stock
30,000
  30,000
D
 
Option to purchase Common Stock (1) $ 11.72           02/13/2007 02/13/2016 Common Stock
17,617
  17,617
D
 
Option to purchase Common Stock (1) $ 15.7           05/17/2008 05/17/2017 Common Stock
40,000
  40,000
D
 
Option to purchase Common Stock (1) $ 16.46           05/08/2009 05/08/2018 Common Stock
53,000
  53,000
D
 
Option to purchase Common Stock (1) $ 15.61           09/19/2009 09/19/2018 Common Stock
53,000
  53,000
D
 
Option to purchase Common Stock (1) $ 13.25           04/22/2010 04/22/2019 Common Stock
150,000
  150,000
D
 

Reporting Owners

Reporting Owner Name / Address Relationships
Director 10% Owner Officer Other
Diamond Jeremy
C/O ANNALY CAPITAL MANAGEMENT, INC.
1211 AVENUE OF THE AMERICAS, SUITE 2902
NEW YORK, NY 10036		       MANAGING DIRECTOR  

Signatures

/s/ Jeremy Diamond 02/14/2011
**Signature of Reporting Person Date

Explanation of Responses:

* If the form is filed by more than one reporting person, see Instruction 4(b)(v).
** Intentional misstatements or omissions of facts constitute Federal Criminal Violations. See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
(1) Options previously granted.

Note: File three copies of this Form, one of which must be manually signed. If space provided is insufficient, see Instruction 6 for procedure.

Potential persons who are to respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB number.